Korkusuz, Burak; Kambouroudis, Dimos S; McMillan, David G. - 2023
We investigate whether range-based estimators contain information in forecasting realized volatility within a HAR … findings suggest that while no single model dominates, overnight return volatility achieves the most consistency. For example …, forecasts for CAC and DAX indices are improved only by overnight volatility, with some evidence also for SPX. For other indices …